AVP, Risk Capital Model Analyst (Hybrid)

Job Description:

The team hiring is responsible for leading the model development and implementation for a multitude of economic risk capital models covering risk stripes including trading and banking book portfolios, particularly covering wholesale credit risk, counterparty credit risk, and interest rate risk for banking book.  The qualified candidate would maintain the existing risk capital models, review and enhance model methodologies, support business and production process, perform model performance assessment, improve model documents, and provide explanations to model output as the subject matter expert to business, model validator, and risk managers. The new team member would also help to maintain and improve the model implementation.

Key Responsibilities:

• Develops, enhances, and validates the methods of measuring economic risk capital, for all risk types including market, counterparty credit, wholesale credit, and retail risk.
• Applies quantitative and qualitative data analysis methods using python/SQL to extract, transform, and analyze data for model development and model performance analysis.
• Implement model analytics, model libraries/engine/executables and associated analytical tools, using programming languages such as C++ and Python
• Conduct model performance analysis, implement testing suites, and develop automated tools for model performance and output monitoring.
• Maintain model documents, support requirements from Model Risk Management, and lead the full model development process including model validation and ongoing performance monitoring cycles
• Partner with IT to ensure that Risk Capital enhancements are correctly implemented and integrated in Citi’s Risk and Finance systems, and provide production supports for reporting,  business, and other model users.

Qualifications:

• Master’s Degree or higher in STEM or other quantitative fields (Mathematics, Statistics, Physics, and etc.) with 3+ years of experience in quantitative modeling experience in financial industry.
• Experience in analytics/quantitative programming/implementation roles in a financial institution for market risk, wholesale credit risk, or counterparty credit risk, and in-depth understanding to various risk metrics.
• Experienced in model development life-cycle in financial institutions.
• Fewer years of relevant experience may be considered for candidates with higher academic qualifications such as a PhD who exhibit outstanding quantitative and programming skills.
• Proficient in Python or C++/C.
• Strong communicator, self-starter, and team player
• Eagerness & ability to grasp complex analytical or mathematical concepts quickly

------------------------------------------------------

Job Family Group:

Risk Management

------------------------------------------------------

Job Family:

Risk Analytics, Modeling, and Validation

------------------------------------------------------

Time Type:

------------------------------------------------------

Primary Location:

Tampa Florida United States

------------------------------------------------------

Primary Location Full Time Salary Range:

$87,280.00 - $130,920.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

------------------------------------------------------

Anticipated Posting Close Date:

May 07, 2025

------------------------------------------------------

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

 

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.